RMBS

  • Pricing service adds CMBS

    Markit has added US CMBS to its evaluated bond pricing service. CMBS prices will be supplied by Trepp.

    With the addition of CMBS, Markit now offers access to independent prices across the whole universe of US structured finance securities. The move comes as the changing regulatory and accounting environment - along with the intense focus on transparency - have increased .......

    News Round-up 23 May 2012

  • GSE buyout concerns raised

    Freddie Mac has announced US$330m of buyouts from various pools due to the resolution of certain "contractual matters". The move is likely to renew concerns about buyouts driven by policy changes.

    While full details on all pools affected by the buyouts were not released, Freddie provided a list of pools for which the share of balance to be bought-out exceeded .......

    News Round-up 23 May 2012

  • AIREM disruption due

    Principal payments for Aire Valley UK RMBS are likely to be disrupted over the next couple of months by a £72.5m reserve drawing to meet the expected maturity date of the last bullet bond in April. European asset-backed analysts at RBS note that the drawing will be recouped from principal receipts (accounting for £30m) and excess spread (£4.6m) until it .......

    News Round-up 23 May 2012

  • Citi given RMBS fine

    FINRA has fined Citigroup Global Markets US$3.5m. The fine is for providing inaccurate mortgage performance information, supervisory failures and other violations relating to its subprime RMBS. Citi has neither admitted nor denied the charges, but consented to the entry of FINRA's findings.

    FINRA says Citi posted data for its RMBS deals that it should have known was inaccurate and which could .......

    Job Swaps 22 May 2012

  • FHFA strategic plan released

    The FHFA last week released for public comment its strategic plan for 2013-2017. The plan provides more detail on proposals to increase the guarantee fee and create a new securitisation platform.

    The FHFA reiterated in the strategic plan that increasing guarantee fees addresses its twin goals of shrinking the GSEs' footprint in the mortgage finance market and improving the financial .......

    News Round-up 22 May 2012

  • Specified pool proposal mooted

    SIFMA has responded to the request for comment on FINRA's proposed rule to begin disseminating data for agency MBS traded as specified pools (MBS-SP). The association believes the proposal has the potential to negatively impact participant confidentiality and therefore participant desire to transact in the market.

    The proposal would implement shorter reporting timeframes for MBS-SP (initially two hours, then one .......

    News Round-up 18 May 2012

  • Ambac rehab hearings scheduled

    A hearing in the Rehabilitation Court relating to Ambac Assurance's motion concerning a settlement with the US Internal Revenue Service over the tax treatment of CDS contracts (SCI 28 February) is scheduled for 13 June. Another hearing in the Rehabilitation Court has been scheduled for 4 June, which could see the monoline begin making interim policy claim payments to segregated .......

    News Round-up 18 May 2012

  • MBIA probe mooted

    The Senate Insurance and Investigations & Government Operations Committees are considering conducting an inquiry and holding hearings related to MBIA Insurance Corp's 2009 restructuring that was approved by the former New York State Insurance Department. The move is in connection with litigation alleging that MBIA withheld material information from the State Insurance Department when the monoline sought the Department's approval .......

    News Round-up 17 May 2012

  • High severities likely for some Irish RMBS

    Moody's anticipates loan loss severities of up to 70% for some Irish RMBS. The agency notes that the steep decline in Irish house prices in recent years has dramatically increased LTV levels of Irish mortgages, pushing the majority of borrowers "alarmingly deep" into negative equity.

    While loan loss severity estimates for Irish RMBS differ considerably from transaction to transaction, losses .......

    News Round-up 16 May 2012

  • Strong take-up for Sabadell tender

    Banco Sabadell has announced the results of its 41-bond tender offer. Investors appear to have participated strongly, driven largely by eurozone concerns.

    The tender consisted of 21 RMBS, six ABS and 14 CLOs across both Banco Sabadell's own transactions and also from Caja de Ahorros del Mediterráneo transactions. The bank indicated it would consider purchasing up to €200m of its .......

    News Round-up 16 May 2012

  • Principal reduction impact analysed

    Fitch reports that principal reductions are unlikely to change long-term ratings for US RMBS.

    The agency notes that most ratings for transactions with the largest potential for reductions are already distressed. Further, the settlement target of at least US$10bn in principal reductions represents just 10% of underwater principal in non-agency RMBS. Finally, servicers are likely to look to their own .......

    News Round-up 16 May 2012

  • Credit linkage approach explained

    Moody's has commented on its approach to evaluating the impact of global and European bank credit deterioration on structured finance (SF) securities. The move follows the announcement on 15 February that it had placed on review for downgrade the ratings of 114 European banking groups and additional non-European firms with large capital market franchises.

    A deterioration in the credit quality .......

    News Round-up 16 May 2012

  • Credit analyst moves on

    Guillaume Langellier has joined Friends Life as ABS credit analyst. He is responsible for buy-side credit research on consumer ABS, RMBS, CMBS and WBS.

    Langellier was most recently at Aviva Investors where he was also a credit analyst. Prior to that he worked at Fitch as head of WBS and he has also held posts at Lazard, UBS Warburg and .......

    Job Swaps 15 May 2012

  • Rescap MSR sale welcomed

    Rescap's Chapter 11 filing (SCI 14 May) is being seen as an overall positive for holders of MBS issued by Rescap entities. MBS analysts at Barclays Capital note that the sale of the Rescap mortgage servicing rights to Fortress means bondholders are highly unlikely to see any significant disruption in cashflows.

    "The sale effectively removes the uncertainty that a splintering .......

    News 15 May 2012

  • ResCap files for bankruptcy

    Residential Capital has filed voluntary petitions for relief under Chapter 11. The move is one of a number of strategic actions being taken by Ally Financial to strengthen its longer-term financial profile and accelerate repayment of the US Treasury's investment.

    "The action by ResCap will enable Ally to achieve a permanent solution to its legacy mortgage risks and put these .......

    News Round-up 14 May 2012

  • Safe-haven status

    Euro ABS bolstered by UK building societies

    The European securitisation sector is proving largely immune to volatility in broader risk markets, with senior vanilla spreads tightening over the past month to finish some 15bp-20bp inside of end-Q1 levels. Sterling-denominated RMBS accounts for nearly a third of this year's issuance volumes, notably driven by UK building societies - issuers that are set to become an important alternative to .......

    News Analysis 14 May 2012

  • Allonhill dropped as OCC consultant

    The OCC has directed Allonhill to cease reviewing files related to the Independent Foreclosure Review as a primary independent consultant or subcontracted consultant. The OCC took this action after Allonhill reported work for third parties that the OCC determined to be inconsistent with the independence requirements for independent consultants.

    The work at issue involved prior review for third parties of .......

    Job Swaps 14 May 2012

  • Aire Valley breaches NAT

    Bradford & Bingley's Aire Valley UK RMBS master trust has breached its non-asset trigger, after the collateral balance fell below the £10.7bn minimum. Secondary market liquidity for the paper is consequently expected to rise, as repayment prospects for different note series become aligned.

    Aire Valley comprises six issuers and nine issuances of outstanding notes. It is a fully socialist master trust, .......

    News 11 May 2012

  • Cheyne UCITS funds minted

    Cheyne Capital Management has launched two UCITS IV-compliant funds - the Cheyne Global Credit Fund and the Cheyne European Real Estate Bond Fund. The UCITS funds have been launched in response to investor demand and their investment portfolios are based on those of two existing flagship Cheyne strategies.

    Both funds offer weekly liquidity. The Cheyne Global Credit Fund is actively .......

    News Round-up 11 May 2012

  • Negative equity impact underlined

    US house prices are expected to remain around current levels for the remainder of this year and begin rising slowly during 2013 and 2014. However, credit risk will remain elevated even for seasoned loans, with borrower equity the key determinant in terms of RMBS performance.

    US house prices have stabilised in so far as they've stopped falling like a rock, .......

    News 10 May 2012

  • Countrywide discovery schedule agreed

    The New York state court hearing the US$8.5bn Countrywide RMBS settlement case reached an agreed discovery schedule that reduces the possibility of a protracted legal process, according to ABS analysts at Barclays Capital. Interveners in the case, such as Walnut Place, had requested thousands of loan files from Countrywide in the discovery process to help bolster their case that the .......

    News Round-up 10 May 2012
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